Trend-Following Backtester · Guide · backtest 한국어
equity · US
Home Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Home Bancorp, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -28.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -59.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.2%, MDD -33.9%, Sharpe 0.62, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 11.6%, MDD -28.6%, exposure 86%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=112, threshold=-0.09 |
12.2% | -33.9% | 0.62 | 0.36 | 7.7x | 53 | 87% |
| Donchian 채널 돌파 entryN=33, exitN=103 |
11.6% | -28.6% | 0.60 | 0.40 | 7.0x | 17 | 86% |
| SMA 크로스오버 fast=56, slow=164 |
9.9% | -28.9% | 0.56 | 0.34 | 5.4x | 25 | 72% |
| EMA 크로스오버 fast=51, slow=208 |
9.3% | -41.3% | 0.52 | 0.22 | 4.9x | 15 | 77% |
| Supertrend period=14, mult=4.9 |
3.6% | -37.6% | 0.28 | 0.10 | 1.9x | 41 | 61% |
| MACD fast=33, slow=53, signal=31 |
1.9% | -41.5% | 0.19 | 0.05 | 1.4x | 119 | 49% |
| 볼린저 밴드 돌파 n=56, k=2 |
1.2% | -41.6% | 0.15 | 0.03 | 1.2x | 67 | 34% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.6% | -49.9% | 0.13 | 0.01 | 1.1x | 135 | 59% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.5 |
0.1% | -21.0% | 0.05 | 0.00 | 1.0x | 22 | 6% |
| ADX / DI 방향성 period=11, threshold=38 |
-1.1% | -21.4% | -0.12 | -0.05 | 0.8x | 48 | 6% |
| Buy and hold | 11.1% | -59.9% | 0.51 | 0.19 | 6.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 112-day return is greater than -9%
- Sell — Sell when the 112-day return drops to -9% or below